(Linear Programming)

s.t.

a11 x1 + a12 x2 + . . . + a1n xn b1

a21 x1 + a22 x2 + . . . + a2n xn b2

..
..
.
.

(Fortune)

am1 x1 + am2 x2 + . . . + amn xn bm

x1 , x2 , . . . , xn 0

c = (c1 , c2 , . . . , cn )t

(x1 , x2 , . . . , xn )t ,

=
=

(optimization)
,

(b1 , b2 , . . . , bm )

, A = (aij )mn

:
Minimize ct x

(x1 , x2 , . . . , xn )

s.t.

z(x1, x2 , . . . , xn ) =

(P)

c1 x1 + c2 x2 + . . . + cn xn (

Ax b

) ,

x 0

m ()
,

ai1 x1 + ai2 x2 + . . . + ani xn bi (i =

1, 2, m)

, ,

Minimize z = c1 x1 +c2 x2 +. . .+cn xn

1

2 82 3

x1 , x2 , . . . , xn ,

Ax b Ax = bAx

(optimality conditions)

b ,

, L. V. Kantorovich

(P)

I.
,
G. B. Dantzig
1947
,
, ,

Kantorovich
, Dantzig

1950 1960 ,
, ,
1975 ,

, Dantzig

L. V. Kantorovich T. C.

Koopmans

1948

(Programming in Lin-

ear Structure)

, T. C. Koop-

( 1979 ),

mans Dantzig 1948

(Santa Monica)

L. G. Khachian,

1947 1949 ,

N. Z. Shor,D. B. Yudin,

A. S. Nemirovskii (ellip-

(Simplex method),

soid method)

1947 ,T. C. Koopmans

,Khachian

1826

(Wall Street Journal)

1939 ,W.
Karush

 (Linear Programming)3

? 1984

N. Karmarkar
,
,
,
,

II.
,

,
:(1)

(2)

Minimize x1 2x2

s.t.

x1 + x2 40

(P),

2x1 + x2 60

F ={x Rn | Ax b,x 0},

x1 0,

x2 0

:
1:F 6= , F

(feasible do

main) F ={(x1 , x2 ) R2 | x1 +
x2
0,x2

2:F 6= , (P)

0}, P

, F

40, 2x1 + x2

60,x1

(P)

(0, 0),(0, 40),(30, 0), (20, 20)

,F 6= ,

(bounded)

, x = (0, 40)

(polytope), (un-

z = 0

bounded) (polyhedral set)

80 = 80

,F
2

4 82 3

(P) , n,

, F

n (hyperplane)

(P) (m + n)

1 2, F 6=

( Ax = bx = 0), F

(P) ,F

C(m + n, n) = (m + n)!/n!m!

n = 100,m = 50

C(m + n, n)F

, ,

():
: F
: cT x

III.

,
, F ,

,

.

(20, 20)2x1 + x2 = 60x1 + x2 =

40;(0, 40)x1 = 40x1 + x2 =

40;(0, 0)x1 = 0x2 = 0

;(30, 0)2x1 + x2 = 60x2 = 0

, F

, 2x1 +x2 = 60 ,x1 +

x2 = 40x1 = 0,x2 = 0

, C(4, 2) = 6

x1 + x2 = 40x2 = 0

(40, 0) 2x1 + x2 = 60x1 =

0(0, 60) (P) ,

 (Linear Programming)5

(P) (P)

Big-M Two-Phase

(Fundamental Matrix)

: F x1, Ax1
b,x1 0 , F
= (P) k = 1
k

: x
dkq

(Minimum Ratio Test)
( 2)
F
, ,

(i) dkq ,
, xk (P)

(ii) dkq ,
,
: dkq
F (k )

(i) k , dkq
, (P)

,
nm
, ,

m0.9522 n0.3109 ,

(ii) k , dkq

G. Minty V. Klee

1971
, n

k+1

=x +

k dkq

, 2n
1 2n

k k + 1,

n ,

6 82 3

n =

(ii) (P) (D)

10002 ,

nm,
,

(P) (D) ,
(Optimality conditions) :

Ax

(polynomial-

b,

x0

A w c,

time)

w0

cT x bt w = 0

()

Rn w

R ,

x (P) ,w (D)

(P) ,

(A, b, c)

(P) (D)

(Dual problem):

Maximize bT w

Mu , Mp q

s.t.

Awc

(D)

w0

,u R , R ,
3 ,

Mu

(D) m

S ={u Rp |Mu }

w1, w2 , . . . , wm n

S 6= , u1 ,

(P) (D)

E 1 , S E 1 6=

(A, b, c),

Mu1

, u1 S E 1

3:

, S E 1 ,
, S E 1

(i) (P) (D)

, S E 1 ( 21 E 1

, ,

) 12 E 1 ,

ct x = bt w

E 2,

1 1
E
2

E 2

 (Linear Programming)7

u2

Mu , S = ,

S E 1 E 2 , Mu2

, u2 S E 1
u2 E 2 ,
S E 1 21 E 2
12 E 2 E 3 , 21 E 2
E 3 u3
Mu3
3

,
:
: ()
(x, w) Rn+m ,
u1 = (x1 , w1 ),
22L E 1
k = 1
: uk = (xk , wk )
,
xk (P) ,wk (D)
,
E k+1
uk+1
: V (E k+1 ) = 0,uk+1
, (P) (D)

k k + 1,

p,
k

V (E )

V (E

k+1

, V (E k+1) <
1

e 2 (p+1) V (E k ) V (E k+1 )

<

e 2 (p+1) V (E 1 ) e 2 (p+1)

, V (E )k

4 :

8 82 3

: xk (P)
, x = xk
dkx,
k > 0
: xk
xk+1 = xk + k dkx F 0
4
k k + 1,

F ,
,

Big-M Two-

Phase

dkx , k ,

(P) :

Minimize ct x
s.t.

(P)

, ,

Ax = b

Primal Affine Scaling

x0

Rn

(interior feasible) Ax = b,x >

0 ,
F 0 = {x Rn | Ax =

, (P)
, xk
, r > 0,
:
Minimize ct x

b,x > 0} ,

s.t.

F 0 6= ,

(P1 )
n
X

(xj xkj )2 r 2

j=1
1

: x F
k = 1

xkj (j = 1, 2, n)xk j

 (Linear Programming)9

(P1 ) , xk ,

, c,
,
x = xk+1 = xk + r

Dk =

k ck

(P1 ) ,

s.t.

(P2 )
x0

..

xkn

Dk1 =

Minimize c x

xk2

Rn+:
t

xk1

1
xk1

1
xk2

..

1
xkn

:
Tk : Rn+ Rn+

x y = Tk (x)=Dk1 x

x > 0,
? xk
xkj ,j = 1, 2, n
,
,

xk yk =
Tk (xk ) = Dk1 xk = e
Tk1 : Rn+ Rn+
y x = Tk1 (y) = Dk y

Tk Rn+ Rn+ , xk
e = (1, 1, 1)t
e
(approximation)
, (P1 )
5

Tk1(e) = Dk e = xk
,(P2)

y:
Minimize ct Dk y
(P2 )

s.t.
n
X

(yj 1)2 1

j=1

(P1 ) , y

Dk c
kDk ck
Dk c
= e
kDk ck

y = yk+1 = yk +
5
xk > 0, n n

10 82 3

x (P2 )

= xk

D k P k Dk c
kPk Dk ck

x = xk+1 = Dk yk+1

Dk2 c
kDk ck
Dk2 c
= xk
kDk ck
= Dk e

(P2 ) ,

,
xk+1 (P)

4:j,j = 1, 2, ,

(P)

n, xk+1
= 0, xk+1 (P)
j

, y (P)

, Primal Affine Scal-

ing :

Minimize ct Dk y

: x1 F 0

s.t.

ADk y = b
n
X

(P )

(yj 1)2 1

j=1

(P2 ) ,(P )
ADk y = b
, (P2 )
Dk c(ADk )
(null space)

k = 1
: dkx = Dk Pk Dk c,
1
,
k =
kPk Dk ck
xk+1 = xk + k dkx
: xk+1
=0,j=
j
1, 2, , n
x = xk+1

k k + 1,

Pk (Dk c)Pk

Pk =[I Dk AT (ADk2 AT )1 ADk ]

(P )

y =y

k+1

Pk (Dk c)
=e+
kPk Dk ck

(P)

k+1

x =x

= Dk y

k+1

,
1984 N. Karmarkar
, ,

 (Linear Programming)11

IV.
, ,
,

, ,
,
,

,
,
,,

?
,
,

,

,

,
,

, ,
,

, ,

1. Bazaraa, M. S., Jarvis, J. J., and Sherali, H. D., Linear Programming and
Network Flows(second edition), John
Wiley, New York (1990).
2. Bland, R. G., Goldfarb, D., and Todd,
M. J. The ellipsoid method: a survey, Operations Research 29, 10391091 (1981).
3. Borgwardt, K. H., The Simplex
Method:
A probabilistic Analysis,
Springer-Verlag, Berlin (1987).
4. Chvatal, V., Linear Programming,
Freeman, San Francisco (1983).
5. Dantzig, G. B., Maximization of a linear function of variables subject to linear inequalities, Activity Analysis of
Production and Allocation, edited by T.
C. Koopmans, John Wiley and Sons,
New York, 339-347 (1951).
6. Dantzig, G. B., Linear Programming
and Extensions, Princeton University
Press, Princeton, New Jersey (1963).
7. Fang, S. C., and Puthenpura, S.
C., Linear Optimization and Extensions: Theory and Algorithms, Prentice Hall, New Jersey (1993).
8. Gass, S. I., Linear Programming:
Methods and Applications ( second
edition ), McGraw-Hill, New York
(1964).
9. Gilmore, P. C., and Gomory, R. E.,
A linear programming approach
to
the cutting-stoch problem,
Operations Research 9, 849-859 (1961).

12 82 3

10. Gilmore, P. C., and Gomory, R. E.,

A linear programming approach
to the cutting-stock problem-Part
II, Operations Research 11, 863-888
(1963).
11. Goldfarb, D., and Todd, M. J.,
Linear Programming, in Optimization, Hand- book in Operations Research and Management Science, edited
by Nemhauser, G. L. and Rinnooy Kan,
A. H. G., Volume 1, 73-170, ElsevierNorth Holland, Amsterdam (1989).
12. Hooker, J. N., Karmarkars linear programming algorithm, Interfaces 16,
75-90 (1986).
13. Kantorovich, L. V., Mathematical
methods of organizing and planning
production, (in Russian) Publication
House of the Leningrad State University, Lennin- grad (1939), (English
translation) Management Science 6,
366-422 (1959-60).

14. Karmarkar, N., A new polynomial time algorithm for linear programming, Combinatorica 4, 373-395
(1984).
15. Karush, W., Minima of functions of several variables with
inequalities as side constraints,
Master
thesis,
Department
of
Mathematics, University of Chicago,
Chicago, Illinois (1939).
16. Khachian, L. G., A polynomial algorithm in linear programming, (in Russian) Doklady Akademiia Nauk SSSR
224, 1093-1096, (English translation)
Soviet Mathematics Doklady 20, 191194 (1979). translation), Soviet Mathematics Doklady 6, 286-290 (1965).

,